Abstract
The last decade has seen rapid growth in trading of credit instruments on secondary markets. The ensuing availability of a rich set of credit market data has created a novel environment for testing a variety of financial economic theories. In this discussion, we provide a simple framework for linking asset pricing research using equity and credit market data and offer some suggestions for future archival empirical research aiming to establish relations between financial information and credit markets. Credit instruments are intrinsically linked to equity instruments. The strength of this link varies temporally and cross-sectionally in measurable ways that can, and should be, used to guide future empirical research linking information to credit markets.
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Acknowledgments
We are grateful to Viral Acharya, Navneet Arora, Lakshmanan Shivakumar, Kari Sigurdsson, İrem Tuna, Oktay Urcan, Florin Vasvari, and Bin Zeng for helpful discussions and comments. Any errors are our own.
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Lok, S., Richardson, S. Credit markets and financial information. Rev Account Stud 16, 487–500 (2011). https://doi.org/10.1007/s11142-011-9147-6
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DOI: https://doi.org/10.1007/s11142-011-9147-6